Regression methods for pricing complex American-style options

IEEE Transactions on Neural Networks

Volumn 12, Issue 4, 2001, Pages 694-703

  Tsitsiklis, John N ^a,b   Van Roy, Benjamin ^c  

^a IEEE   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

HEDGING; LEAST SQUARES REGRESSION; OPTION PRICING;

ALGORITHMS; COMPUTER SIMULATION; CONFORMAL MAPPING; DYNAMIC PROGRAMMING; FINANCE; ITERATIVE METHODS; LEAST SQUARES APPROXIMATIONS; MARKOV PROCESSES; PROBABILITY DISTRIBUTIONS; PROBLEM SOLVING; REGRESSION ANALYSIS; THEOREM PROVING;

RADIAL BASIS FUNCTION NETWORKS;

EID: 0035391083     PISSN: 10459227     EISSN: None     Source Type: Journal    
DOI: 10.1109/72.935083     Document Type: Article

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